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Gelismekte Olan Ulkelerin Kurlarindaki Ortak Hareketin Analizi

Author

Listed:
  • Meltem Gulenay Chadwick
  • Fatih Fazilet
  • Necati Tekatli

Abstract

[TR] Bu notta, gelismekte olan ulkelerin kurlarinda ortak bir hareketin varligi tespit edilmekte ve bu ortak hareketin finansal degiskenlerle olan iliskisi incelenmektedir. Bu amacla 2000 yili sonrasinda, agirlikli olarak esnek kur rejimi uygulayan ulkelerin kurlarinin ortak hareketi dinamik faktor modeli yontemiyle tahmin edilerek tek serilik bir endeks haline getirilmistir. Elde edilen sonuclar, gelismekte olan ulkelerin kurlarinda dikkat ceken ortak bir faktorun varligina ve finansal verilerin bu ortak faktordeki degisimlerle paralel hareket ettigine isaret etmektedir. [EN] This note documents the existence of a common movement across emerging market currencies under flexible exchange rate regime after 2000 and examines the relationship between this common movement and financial variables. This common movement, which has been derived using a dynamic factor model, is introduced as a composite index. The results show that the emerging market currencies have a common factor which moves closely with financial variables.

Suggested Citation

  • Meltem Gulenay Chadwick & Fatih Fazilet & Necati Tekatli, 2011. "Gelismekte Olan Ulkelerin Kurlarindaki Ortak Hareketin Analizi," CBT Research Notes in Economics 1106, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    • Handle: RePEc:tcb:econot:1106
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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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